My daughter's 2000 Beetle uses the 4-wire Bosch O2 sensors right from the factory. I don't think it's faster than the VX! However, they are expensive. I had to replace one a few months ago.
I'm no engineer, but I believe that the O2 sensor with built-in heater (4-wire) will reach it's operating temperature faster, putting the emissions system into closed loop mode sooner, therefore reducing time spent in an enrichened state. Will this significantly improve your mileage? Performance? I doubt it. If your O2 sensors are BAD, then it will affect performance.
Keeping all of your fuel system components clean (filter, injectors, MAF, etc) and all sensors functioning properly, and keeping your foot out of the Go pedal, will do more for your mileage -- in theory! Since I don't own any vehicles that sip fuel ('70 Torino Cobra, '82 Mustang GT, '00 Honda CBR600F4 - maybe) I rarely practice fuel conservation measures. Sorry, I'm
Gregg
2001 Proton Yellow #1379